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Alpha191因子构建公式

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Alpha191因子是国泰君安证券研究者,于2017年6月,在《数量化专题: 基于短周期价量特征的多因子选股体系》研报中提出的191个因子,具体的因子表达式如下

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Alpha1:   (-1 * CORR(RANK(DELTA(LOG(VOLUME), 1)), RANK(((CLOSE -OPEN) / OPEN)), 6))

Alpha2:   (-1 * DELTA((((CLOSE -LOW) -(HIGH -CLOSE)) / (HIGH -LOW)), 1))

Alpha3:   SUM((CLOSE=DELAY(CLOSE,1)?0:CLOSE-(CLOSE>DELAY(CLOSE,1)?MIN(LOW,DELAY(CLOSE,1)):MAX(HIGH,DELAY(CLOSE,1)))),6)

Alpha4:   ((((SUM(CLOSE, 8) / 8) + STD(CLOSE, 8)) < (SUM(CLOSE, 2) / 2)) ? (-1 * 1) : (((SUM(CLOSE, 2) / 2) <((SUM(CLOSE, 8) / 8) -STD(CLOSE, 8))) ? 1 : (((1 < (VOLUME / MEAN(VOLUME,20))) || ((VOLUME /MEAN(VOLUME,20)) == 1)) ? 1 : (-1 * 1))))

Alpha5:   (-1 * TSMAX(CORR(TSRANK(VOLUME, 5), TSRANK(HIGH, 5), 5), 3))

Alpha6:   (RANK(SIGN(DELTA((((OPEN * 0.85) + (HIGH * 0.15))), 4)))* -1)

Alpha7:   ((RANK(MAX((VWAP -CLOSE), 3)) + RANK(MIN((VWAP -CLOSE), 3))) * RANK(DELTA(VOLUME, 3)))

Alpha8:   RANK(DELTA(((((HIGH + LOW) / 2) * 0.2) + (VWAP * 0.8)), 4) * -1)

Alpha9:   SMA(((HIGH+LOW)/2-(DELAY(HIGH,1)+DELAY(LOW,1))/2)*(HIGH-LOW)/VOLUME,7,2)

Alpha10:  (RANK(MAX(((RET < 0) ? STD(RET, 20) : CLOSE)^2),5))

Alpha11:  SUM(((CLOSE-LOW)-(HIGH-CLOSE))./(HIGH-LOW).*VOLUME,6)

Alpha12:  (RANK((OPEN -(SUM(VWAP, 10) / 10)))) * (-1 * (RANK(ABS((CLOSE -VWAP)))))

Alpha13:  (((HIGH * LOW)^0.5) -VWAP)

Alpha14:  CLOSE-DELAY(CLOSE,5)

Alpha15:  OPEN/DELAY(CLOSE,1)-1

Alpha16:  (-1 * TSMAX(RANK(CORR(RANK(VOLUME), RANK(VWAP), 5)), 5))

Alpha17:  RANK((VWAP -MAX(VWAP, 15)))^DELTA(CLOSE, 5)

Alpha18:  CLOSE/DELAY(CLOSE,5)

Alpha19:  (CLOSE<DELAY(CLOSE,5)?(CLOSE-DELAY(CLOSE,5))/DELAY(CLOSE,5):(CLOSE=DELAY(CLOSE,5)?0:(CLOSE-DELAY(CLOSE,5))/CLOSE))

Alpha20:  (CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*100

Alpha21:  REGBETA(MEAN(CLOSE,6),SEQUENCE(6))

Alpha22:  SMEAN(((CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6)-DELAY((CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6),3)),12,1)

Alpha23:  SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE:20),0),20,1)/(SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)+SMA((CLOSE<=DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1))*100

Alpha24:  SMA(CLOSE-DELAY(CLOSE,5),5,1)

Alpha25:  ((-1 * RANK((DELTA(CLOSE, 7) * (1 -RANK(DECAYLINEAR((VOLUME/MEAN(VOLUME,20)), 9)))))) * (1 +RANK(SUM(RET, 250))))

Alpha26:  ((((SUM(CLOSE, 7) / 7) -CLOSE)) + ((CORR(VWAP, DELAY(CLOSE, 5), 230))))

Alpha27:  WMA((CLOSE-DELAY(CLOSE,3))/DELAY(CLOSE,3)*100+(CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*100,12)

Alpha28:  3*SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))*100,3,1)-2*SMA(SMA((CLOSE-TSMIN(LOW,9))/(MAX(HIGH,9)-TSMAX(LOW,9))*100,3,1),3,1)

Alpha29:  (CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*VOLUME

Alpha30:  WMA((REGRESI(CLOSE/DELAY(CLOSE)-1,MKT,SMB,HML,60))^2,20)

Alpha31:  (CLOSE-MEAN(CLOSE,12))/MEAN(CLOSE,12)*100

Alpha32:  (-1 * SUM(RANK(CORR(RANK(HIGH), RANK(VOLUME), 3)), 3))

Alpha33:  ((((-1 * TSMIN(LOW, 5)) + DELAY(TSMIN(LOW, 5), 5)) * RANK(((SUM(RET, 240) -SUM(RET, 20)) / 220))) *TSRANK(VOLUME, 5))

Alpha34:  MEAN(CLOSE,12)/CLOSE

Alpha35:  (MIN(RANK(DECAYLINEAR(DELTA(OPEN, 1), 15)), RANK(DECAYLINEAR(CORR((VOLUME), ((OPEN * 0.65) +(OPEN *0.35)), 17),7))) * -1)

Alpha36:  RANK(SUM(CORR(RANK(VOLUME), RANK(VWAP)), 6), 2)

Alpha37:  (-1 * RANK(((SUM(OPEN, 5) * SUM(RET, 5)) -DELAY((SUM(OPEN,5) * SUM(RET, 5)), 10))))

Alpha38:  (((SUM(HIGH, 20) / 20) < HIGH) ? (-1 * DELTA(HIGH, 2)) : 0)

Alpha39:  ((RANK(DECAYLINEAR(DELTA((CLOSE), 2),8)) -RANK(DECAYLINEAR(CORR(((VWAP * 0.3) + (OPEN * 0.7)),SUM(MEAN(VOLUME,180), 37), 14), 12))) * -1)

Alpha40:  SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:0),26)/SUM((CLOSE<=DELAY(CLOSE,1)?VOLUME:0),26)*100

Alpha41:  (RANK(MAX(DELTA((VWAP), 3), 5))* -1)

Alpha42:  ((-1 * RANK(STD(HIGH, 10))) * CORR(HIGH, VOLUME, 10))

Alpha43:  SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),6)

Alpha44:  (TSRANK(DECAYLINEAR(CORR(((LOW )), MEAN(VOLUME,10), 7), 6),4) + TSRANK(DECAYLINEAR(DELTA((VWAP),3), 10), 15))

Alpha45:  (RANK(DELTA((((CLOSE * 0.6) + (OPEN *0.4))), 1)) * RANK(CORR(VWAP, MEAN(VOLUME,150), 15)))

Alpha46:  (MEAN(CLOSE,3)+MEAN(CLOSE,6)+MEAN(CLOSE,12)+MEAN(CLOSE,24))/(4*CLOSE)

Alpha47:  SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,9,1)

Alpha48:  (-1*((RANK(((SIGN((CLOSE -DELAY(CLOSE, 1))) + SIGN((DELAY(CLOSE, 1) -DELAY(CLOSE, 2)))) +SIGN((DELAY(CLOSE, 2) -DELAY(CLOSE, 3)))))) * SUM(VOLUME, 5)) / SUM(VOLUME, 20))

Alpha49:  SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))

Alpha50:  SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))-SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))

Alpha51:  SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))

Alpha52:  SUM(MAX(0,HIGH-DELAY((HIGH+LOW+CLOSE)/3,1)),26)/SUM(MAX(0,DELAY((HIGH+LOW+CLOSE)/3,1)-L),26)*100

Alpha53:  COUNT(CLOSE>DELAY(CLOSE,1),12)/12*100

Alpha54:  (-1 * RANK((STD(ABS(CLOSE -OPEN)) + (CLOSE -OPEN)) + CORR(CLOSE, OPEN,10)))

Alpha55:  SUM(16*(CLOSE-DELAY(CLOSE,1)+(CLOSE-OPEN)/2+DELAY(CLOSE,1)-DELAY(OPEN,1))/((ABS(HIGH-DELAY(CLOSE,1))>ABS(LOW-DELAY(CLOSE,1))&ABS(HIGH-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1))?ABS(HIGH-DELAY(CLOSE,1))+ABS(LOW-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:(ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1))&ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(CLOSE,1))?ABS(LOW-DELAY(CLOSE,1))+ABS(HIGH-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:ABS(HIGH-DELAY(LOW,1))+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4)))*MAX(ABS(HIGH-DELAY(CLOSE,1)),ABS(LOW-DELAY(CLOSE,1))),20)

Alpha56:  (RANK((OPEN -TSMIN(OPEN, 12))) < RANK((RANK(CORR(SUM(((HIGH + LOW) / 2), 19), SUM(MEAN(VOLUME,40), 19), 13))^5)))

Alpha57:  SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))*100,3,1)

Alpha58:  COUNT(CLOSE>DELAY(CLOSE,1),20)/20*100

Alpha59:  SUM((CLOSE=DELAY(CLOSE,1)?0:CLOSE-(CLOSE>DELAY(CLOSE,1)?MIN(LOW,DELAY(CLOSE,1)):MAX(HIGH,DELAY(CLOSE,1)))),20)

Alpha60:  SUM(((CLOSE-LOW)-(HIGH-CLOSE))./(HIGH-LOW).*VOLUME,20)

Alpha61:  (MAX(RANK(DECAYLINEAR(DELTA(VWAP, 1), 12)),RANK(DECAYLINEAR(RANK(CORR((LOW),MEAN(VOLUME,80), 8)), 17))) * -1)

Alpha62:  (-1 * CORR(HIGH, RANK(VOLUME), 5))

Alpha63:  SMA(MAX(CLOSE-DELAY(CLOSE,1),0),6,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),6,1)*100

Alpha64:  (MAX(RANK(DECAYLINEAR(CORR(RANK(VWAP), RANK(VOLUME), 4), 4)),RANK(DECAYLINEAR(MAX(CORR(RANK(CLOSE), RANK(MEAN(VOLUME,60)), 4), 13), 14))) * -1)

Alpha65:  MEAN(CLOSE,6)/CLOSE

Alpha66:  (CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6)*100

Alpha67:  SMA(MAX(CLOSE-DELAY(CLOSE,1),0),24,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),24,1)*100

Alpha68:  SMA(((HIGH+LOW)/2-(DELAY(HIGH,1)+DELAY(LOW,1))/2)*(HIGH-LOW)/VOLUME,15,2)

Alpha69:  (SUM(DTM,20)>SUM(DBM,20)?(SUM(DTM,20)-SUM(DBM,20))/SUM(DTM,20): (SUM(DTM,20)=SUM(DBM,20)? 0: (SUM(DTM,20)-SUM(DBM,20))/SUM(DBM,20)))

Alpha70:  STD(AMOUNT,6)

Alpha71:  (CLOSE-MEAN(CLOSE,24))/MEAN(CLOSE,24)*100

Alpha72:  SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,15,1)

Alpha73:  ((TSRANK(DECAYLINEAR(DECAYLINEAR(CORR((CLOSE), VOLUME, 10), 16), 4), 5) - RANK(DECAYLINEAR(CORR(VWAP, MEAN(VOLUME,30), 4),3))) * -1)

Alpha74:  (RANK(CORR(SUM(((LOW * 0.35) + (VWAP * 0.65)), 20), SUM(MEAN(VOLUME,40), 20), 7)) + RANK(CORR(RANK(VWAP), RANK(VOLUME), 6)))

Alpha75:  COUNT(CLOSE>OPEN &BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN,50)/COUNT(BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN,50)

Alpha76:  STD(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)/MEAN(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)

Alpha77:  MIN(RANK(DECAYLINEAR(((((HIGH + LOW) / 2) + HIGH) -(VWAP + HIGH)), 20)),RANK(DECAYLINEAR(CORR(((HIGH + LOW) / 2), MEAN(VOLUME,40), 3), 6)))

Alpha78:  ((HIGH+LOW+CLOSE)/3-MA((HIGH+LOW+CLOSE)/3,12))/(0.015*MEAN(ABS(CLOSE-MEAN((HIGH+LOW+CLOSE)/3,12)),12))

Alpha79:  SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100

Alpha80:  (VOLUME-DELAY(VOLUME,5))/DELAY(VOLUME,5)*100

Alpha81:  SMA(VOLUME,21,2)

Alpha82:  SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,20,1)

Alpha83:  (-1 * RANK(COVIANCE(RANK(HIGH), RANK(VOLUME), 5)))

Alpha84:  SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),20)

Alpha85:  (TSRANK((VOLUME / MEAN(VOLUME,20)), 20) * TSRANK((-1 * DELTA(CLOSE, 7)), 8))

Alpha86:  ((0.25 < (((DELAY(CLOSE, 20) -DELAY(CLOSE, 10)) / 10) -((DELAY(CLOSE, 10) -CLOSE) / 10))) ? (-1 * 1):(((((DELAY(CLOSE, 20) -DELAY(CLOSE, 10)) / 10) -((DELAY(CLOSE, 10) -CLOSE) / 10)) < 0) ? 1 : ((-1 * 1) *(CLOSE -DELAY(CLOSE, 1)))))

Alpha87:  ((RANK(DECAYLINEAR(DELTA(VWAP, 4), 7)) + TSRANK(DECAYLINEAR(((((LOW * 0.9) + (LOW * 0.1)) -VWAP) /(OPEN -((HIGH + LOW) / 2))), 11), 7)) * -1)

Alpha88:  (CLOSE-DELAY(CLOSE,20))/DELAY(CLOSE,20)*100

Alpha89:  2*(SMA(CLOSE,13,2)-SMA(CLOSE,27,2)-SMA(SMA(CLOSE,13,2)-SMA(CLOSE,27,2),10,2))

Alpha90:  ( RANK(CORR(RANK(VWAP), RANK(VOLUME), 5)) * -1)

Alpha91:  ((RANK((CLOSE -MAX(CLOSE, 5)))*RANK(CORR((MEAN(VOLUME,40)), LOW, 5))) * -1)

Alpha92:  (MAX(RANK(DECAYLINEAR(DELTA(((CLOSE * 0.35) + (VWAP *0.65)), 2), 3)),TSRANK(DECAYLINEAR(ABS(CORR((MEAN(VOLUME,180)), CLOSE, 13)), 5), 15)) * -1)

Alpha93:  SUM((OPEN>=DELAY(OPEN,1)?0:MAX((OPEN-LOW),(OPEN-DELAY(OPEN,1)))),20)

Alpha94:  SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),30)

Alpha95:  STD(AMOUNT,20)

Alpha96:  SMA(SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))*100,3,1),3,1)

Alpha97:  STD(VOLUME,10)

Alpha98:  ((((DELTA((SUM(CLOSE, 100) / 100), 100) / DELAY(CLOSE, 100)) < 0.05) || ((DELTA((SUM(CLOSE, 100) / 100), 100) /DELAY(CLOSE, 100)) == 0.05)) ? (-1 * (CLOSE -TSMIN(CLOSE, 100))) : (-1 * DELTA(CLOSE, 3)))

Alpha99:  (-1 * RANK(COVIANCE(RANK(CLOSE), RANK(VOLUME), 5)))

Alpha100: STD(VOLUME,20)

Alpha101: ((RANK(CORR(CLOSE, SUM(MEAN(VOLUME,30), 37), 15)) < RANK(CORR(RANK(((HIGH * 0.1) + (VWAP * 0.9))),RANK(VOLUME), 11))) * -1)

Alpha102: SMA(MAX(VOLUME-DELAY(VOLUME,1),0),6,1)/SMA(ABS(VOLUME-DELAY(VOLUME,1)),6,1)*100

Alpha103: ((20-LOWDAY(LOW,20))/20)*100

Alpha104: (-1 * (DELTA(CORR(HIGH, VOLUME, 5), 5) * RANK(STD(CLOSE, 20))))

Alpha105: (-1 * CORR(RANK(OPEN), RANK(VOLUME), 10))

Alpha106: CLOSE-DELAY(CLOSE,20)

Alpha107: (((-1 * RANK((OPEN -DELAY(HIGH, 1)))) * RANK((OPEN -DELAY(CLOSE, 1)))) *RANK((OPEN -DELAY(LOW, 1))))

Alpha108: ((RANK((HIGH -MIN(HIGH, 2)))^RANK(CORR((VWAP), (MEAN(VOLUME,120)), 6))) * -1)

Alpha109: SMA(HIGH-LOW,10,2)/SMA(SMA(HIGH-LOW,10,2),10,2)

Alpha110: SUM(MAX(0,HIGH-DELAY(CLOSE,1)),20)/SUM(MAX(0,DELAY(CLOSE,1)-LOW),20)*100

Alpha111: SMA(VOL*((CLOSE-LOW)-(HIGH-CLOSE))/(HIGH-LOW),11,2)-SMA(VOL*((CLOSE-LOW)-(HIGH-CLOSE))/(HIGH-LOW),4,2)

Alpha112: (SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)-SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12))/(SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)+SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12))*100

Alpha113: (-1 * ((RANK((SUM(DELAY(CLOSE, 5), 20) / 20)) * CORR(CLOSE, VOLUME, 2)) *RANK(CORR(SUM(CLOSE, 5),SUM(CLOSE, 20), 2))))

Alpha114: ((RANK(DELAY(((HIGH -LOW) / (SUM(CLOSE, 5) / 5)), 2)) * RANK(RANK(VOLUME))) / (((HIGH -LOW) /(SUM(CLOSE, 5) / 5)) / (VWAP -CLOSE)))

Alpha115: (RANK(CORR(((HIGH * 0.9) + (CLOSE * 0.1)), MEAN(VOLUME,30), 10))^RANK(CORR(TSRANK(((HIGH + LOW) /2), 4), TSRANK(VOLUME, 10), 7)))

Alpha116: REGBETA(CLOSE,SEQUENCE,20)

Alpha117: ((TSRANK(VOLUME, 32) * (1 -TSRANK(((CLOSE + HIGH) -LOW), 16))) * (1 -TSRANK(RET, 32)))

Alpha118: SUM(HIGH-OPEN,20)/SUM(OPEN-LOW,20)*100

Alpha119: (RANK(DECAYLINEAR(CORR(VWAP, SUM(MEAN(VOLUME,5), 26), 5), 7)) -RANK(DECAYLINEAR(TSRANK(MIN(CORR(RANK(OPEN), RANK(MEAN(VOLUME,15)), 21), 9), 7), 8)))

Alpha120: (RANK((VWAP -CLOSE)) / RANK((VWAP + CLOSE)))

Alpha121: ((RANK((VWAP -MIN(VWAP, 12)))^TSRANK(CORR(TSRANK(VWAP, 20), TSRANK(MEAN(VOLUME,60), 2), 18), 3)) * -1)

Alpha122: (SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2)-DELAY(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2),1))/DELAY(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2),1)

Alpha123: ((RANK(CORR(SUM(((HIGH + LOW) / 2), 20), SUM(MEAN(VOLUME,60), 20), 9))<RANK(CORR(LOW, VOLUME,6))) * -1)

Alpha124: (CLOSE -VWAP) / DECAYLINEAR(RANK(TSMAX(CLOSE, 30)),2)

Alpha125: (RANK(DECAYLINEAR(CORR((VWAP), MEAN(VOLUME,80),17), 20)) / RANK(DECAYLINEAR(DELTA(((CLOSE * 0.5)+ (VWAP * 0.5)), 3), 16)))

Alpha126: (CLOSE+HIGH+LOW)/3

Alpha127: (MEAN((100*(CLOSE-MAX(CLOSE,12))/(MAX(CLOSE,12)))^2))^(1/2)

Alpha128: 100-(100/(1+SUM(((HIGH+LOW+CLOSE)/3>DELAY((HIGH+LOW+CLOSE)/3,1)?(HIGH+LOW+CLOSE)/3*VOLUME:0),14)/SUM(((HIGH+LOW+CLOSE)/3<DELAY((HIGH+LOW+CLOSE)/3,1)?(HIGH+LOW+CLOSE)/3*VOLUME:0),14)))

Alpha129: SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12)

Alpha130: (RANK(DECAYLINEAR(CORR(((HIGH + LOW) / 2), MEAN(VOLUME,40), 9), 10)) /RANK(DECAYLINEAR(CORR(RANK(VWAP), RANK(VOLUME), 7),3)))

Alpha131: (RANK(DELAT(VWAP, 1))^TSRANK(CORR(CLOSE,MEAN(VOLUME,50), 18), 18))

Alpha132: MEAN(AMOUNT,20)

Alpha133: ((20-HIGHDAY(HIGH,20))/20)*100-((20-LOWDAY(LOW,20))/20)*100

Alpha134: (CLOSE-DELAY(CLOSE,12))/DELAY(CLOSE,12)*VOLUME

Alpha135: SMA(DELAY(CLOSE/DELAY(CLOSE,20),1),20,1)

Alpha136: ((-1 * RANK(DELTA(RET, 3))) * CORR(OPEN, VOLUME, 10))

Alpha137: 16*(CLOSE-DELAY(CLOSE,1)+(CLOSE-OPEN)/2+DELAY(CLOSE,1)-DELAY(OPEN,1))/((ABS(HIGH-DELAY(CLOSE,1))>ABS(LOW-DELAY(CLOSE,1)) &ABS(HIGH-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1))?ABS(HIGH-DELAY(CLOSE,1))+ABS(LOW-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:(ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1)) &ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(CLOSE,1))?ABS(LOW-DELAY(CLOSE,1))+ABS(HIGH-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:ABS(HIGH-DELAY(LOW,1))+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4)))*MAX(ABS(HIGH-DELAY(CLOSE,1)),ABS(LOW-DELAY(CLOSE,1)))

Alpha138: ((RANK(DECAYLINEAR(DELTA((((LOW * 0.7) + (VWAP *0.3))), 3), 20)) -TSRANK(DECAYLINEAR(TSRANK(CORR(TSRANK(LOW, 8), TSRANK(MEAN(VOLUME,60), 17), 5), 19), 16), 7)) * -1)

Alpha139: (-1 * CORR(OPEN, VOLUME, 10))

Alpha140: MIN(RANK(DECAYLINEAR(((RANK(OPEN) + RANK(LOW)) -(RANK(HIGH) + RANK(CLOSE))), 8)),TSRANK(DECAYLINEAR(CORR(TSRANK(CLOSE, 8), TSRANK(MEAN(VOLUME,60), 20), 8), 7), 3))

Alpha141: (RANK(CORR(RANK(HIGH), RANK(MEAN(VOLUME,15)), 9))* -1)

Alpha142: (((-1 * RANK(TSRANK(CLOSE, 10))) * RANK(DELTA(DELTA(CLOSE, 1), 1))) *RANK(TSRANK((VOLUME/MEAN(VOLUME,20)), 5)))

Alpha143: CLOSE>DELAY(CLOSE,1)?(CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)*SELF:SELF

Alpha144: SUMIF(ABS(CLOSE/DELAY(CLOSE,1)-1)/AMOUNT,20,CLOSE<DELAY(CLOSE,1))/COUNT(CLOSE<DELAY(CLOSE,1),20)

Alpha145: (MEAN(VOLUME,9)-MEAN(VOLUME,26))/MEAN(VOLUME,12)*100

Alpha146: MEAN((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2),20)*((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2))/SMA(((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2)))^2,60)

Alpha147: REGBETA(MEAN(CLOSE,12),SEQUENCE(12))

Alpha148: ((RANK(CORR((OPEN), SUM(MEAN(VOLUME,60), 9), 6)) < RANK((OPEN -TSMIN(OPEN, 14)))) * -1)

Alpha149: REGBETA(FILTER(CLOSE/DELAY(CLOSE,1)-1,BANCHMARKINDEXCLOSE<DELAY(BANCHMARKINDEXCLOSE,1)),FILTER(BANCHMARKINDEXCLOSE/DELAY(BANCHMARKINDEXCLOSE,1)-1,BANCHMARKINDEXCLOSE<DELAY(BANCHMARKINDEXCLOSE,1)),252)

Alpha150: (CLOSE+HIGH+LOW)/3*VOLUME

Alpha151: SMA(CLOSE-DELAY(CLOSE,20),20,1)

Alpha152: SMA(MEAN(DELAY(SMA(DELAY(CLOSE/DELAY(CLOSE,9),1),9,1),1),12)-MEAN(DELAY(SMA(DELAY(CLOSE/DELAY(CLOSE,9),1),9,1),1),26),9,1)

Alpha153: (MEAN(CLOSE,3)+MEAN(CLOSE,6)+MEAN(CLOSE,12)+MEAN(CLOSE,24))/4

Alpha154: (((VWAP -MIN(VWAP, 16))) < (CORR(VWAP, MEAN(VOLUME,180), 18)))

Alpha155: SMA(VOLUME,13,2)-SMA(VOLUME,27,2)-SMA(SMA(VOLUME,13,2)-SMA(VOLUME,27,2),10,2)

Alpha156: (MAX(RANK(DECAYLINEAR(DELTA(VWAP, 5), 3)), RANK(DECAYLINEAR(((DELTA(((OPEN * 0.15) + (LOW *0.85)),2) / ((OPEN * 0.15) + (LOW * 0.85))) * -1), 3))) * -1)

Alpha157: (MIN(PROD(RANK(RANK(LOG(SUM(TSMIN(RANK(RANK((-1 * RANK(DELTA((CLOSE -1), 5))))), 2), 1)))), 1), 5) +TSRANK(DELAY((-1 * RET), 6), 5))

Alpha158: ((HIGH-SMA(CLOSE,15,2))-(LOW-SMA(CLOSE,15,2)))/CLOSE

Alpha159: ((CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),6))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),6)*12*24+(CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),12))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),12)*6*24+(CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),24))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),24)*6*24)*100/(6*12+6*24+12*24)

Alpha160: SMA((CLOSE<=DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)

Alpha161: MEAN(MAX(MAX((HIGH-LOW),ABS(DELAY(CLOSE,1)-HIGH)),ABS(DELAY(CLOSE,1)-LOW)),12)

Alpha162: (SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100-MIN(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100,12))/(MAX(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100,12)-MIN(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100,12))

Alpha163: RANK(((((-1 * RET) * MEAN(VOLUME,20)) * VWAP) * (HIGH -CLOSE)))

Alpha164: SMA((((CLOSE>DELAY(CLOSE,1))?1/(CLOSE-DELAY(CLOSE,1)):1)-MIN(((CLOSE>DELAY(CLOSE,1))?1/(CLOSE-DELAY(CLOSE,1)):1),12))/(HIGH-LOW)*100,13,2)

Alpha165: MAX(SUMAC(CLOSE-MEAN(CLOSE,48)))-MIN(SUMAC(CLOSE-MEAN(CLOSE,48)))/STD(CLOSE,48)

Alpha166: -20*(20-1 )^1.5*SUM(CLOSE/DELAY(CLOSE,1)-1-MEAN(CLOSE/DELAY(CLOSE,1)-1,20),20)/((20-1)*(20-2)(SUM((CLOSE/DELAY(CLOSE,1),20)^2,20))^1.5)

Alpha167: SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)

Alpha168: (-1*VOLUME/MEAN(VOLUME,20))

Alpha169: SMA(MEAN(DELAY(SMA(CLOSE-DELAY(CLOSE,1),9,1),1),12)-MEAN(DELAY(SMA(CLOSE-DELAY(CLOSE,1),9,1),1),26),10,1)

Alpha170: ((((RANK((1 / CLOSE)) * VOLUME) / MEAN(VOLUME,20)) * ((HIGH * RANK((HIGH -CLOSE))) / (SUM(HIGH, 5) /5))) -RANK((VWAP -DELAY(VWAP, 5))))

Alpha171: ((-1 * ((LOW -CLOSE) * (OPEN^5))) / ((CLOSE -HIGH) * (CLOSE^5)))

Alpha172: MEAN(ABS(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6)

Alpha173: 3*SMA(CLOSE,13,2)-2*SMA(SMA(CLOSE,13,2),13,2)+SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2)

Alpha174: SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)

Alpha175: MEAN(MAX(MAX((HIGH-LOW),ABS(DELAY(CLOSE,1)-HIGH)),ABS(DELAY(CLOSE,1)-LOW)),6)

Alpha176: CORR(RANK(((CLOSE -TSMIN(LOW, 12)) / (TSMAX(HIGH, 12) -TSMIN(LOW,12)))),RANK(VOLUME), 6)

Alpha177: ((20-HIGHDAY(HIGH,20))/20)*100

Alpha178: (CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)*VOLUME

Alpha179: (RANK(CORR(VWAP, VOLUME, 4)) *RANK(CORR(RANK(LOW),RANK(MEAN(VOLUME,50)), 12)))

Alpha180: ((MEAN(VOLUME,20) < VOLUME) ? ((-1 * TSRANK(ABS(DELTA(CLOSE, 7)), 60)) *SIGN(DELTA(CLOSE, 7)) : (-1 *VOLUME)))

Alpha181: SUM(((CLOSE/DELAY(CLOSE,1)-1)-MEAN((CLOSE/DELAY(CLOSE,1)-1),20))-(BANCHMARKINDEXCLOSE-MEAN(BANCHMARKINDEXCLOSE,20))^2,20)/SUM((BANCHMARKINDEXCLOSE-MEAN(BANCHMARKINDEXCLOSE,20))^3)

Alpha182: COUNT((CLOSE>OPEN & BANCHMARKINDEXCLOSE>BANCHMARKINDEXOPEN)OR(CLOSE<OPEN &BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN),20)/20

Alpha183: MAX(SUMAC(CLOSE-MEAN(CLOSE,24)))-MIN(SUMAC(CLOSE-MEAN(CLOSE,24)))/STD(CLOSE,24)

Alpha184: (RANK(CORR(DELAY((OPEN -CLOSE), 1), CLOSE, 200)) + RANK((OPEN -CLOSE)))

Alpha185: RANK((-1 * ((1 -(OPEN / CLOSE))^2)))

Alpha186: (MEAN(ABS(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0 &LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6)+DELAY(MEAN(ABS(SUM((LD>0 &LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0&LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6),6))/2

Alpha187: SUM((OPEN<=DELAY(OPEN,1)?0:MAX((HIGH-OPEN),(OPEN-DELAY(OPEN,1)))),20)

Alpha188: ((HIGH-LOW–SMA(HIGH-LOW,11,2))/SMA(HIGH-LOW,11,2))*100

Alpha189: MEAN(ABS(CLOSE-MEAN(CLOSE,6)),6)

Alpha190: LOG((COUNT(CLOSE/DELAY(CLOSE)-1>((CLOSE/DELAY(CLOSE,19))^(1/20)-1),20)-1)*(SUMIF(((CLOSE/DELAY(CLOSE)-1-(CLOSE/DELAY(CLOSE,19))^(1/20)-1))^2,20,CLOSE/DELAY(CLOSE)-1<(CLOSE/DELAY(CLOSE,19))^(1/20)-1))/((COUNT((CLOSE/DELAY(CLOSE)-1<(CLOSE/DELAY(CLOSE,19))^(1/20)-1),20))*(SUMIF((CLOSE/DELAY(CLOSE)-1-((CLOSE/DELAY(CLOSE,19))^(1/20)-1))^2,20,CLOSE/DELAY(CLOSE)-1>(CLOSE/DELAY(CLOSE,19))^(1/20)-1))))

Alpha191: ((CORR(MEAN(VOLUME,20), LOW, 5) + ((HIGH + LOW) / 2)) -CLOSE)

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Alpha因子多因子选股